Risk management - Error of VAR by overlapping intervals - When overlapping intervals in time series are used, volatility and price changes' percentiles are underestimated. Consequently, value-at-risk is also underestimated. The authors measure the size of this underestimation.
| Year of publication: |
2009
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|---|---|
| Authors: | Sun, Heng ; Nelken, Izzy ; Han, Guowen ; Guo, Jiping |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 22.2009, 3, p. 86-91
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